American option valuation in a stochastic volatility model with transaction costs

In the present paper we analyse the American option valuation problem in a stochastic volatility model when transaction costs are taken into account. We shall show that it can be formulated as a singular stochastic optimal control problem, proving the existence and uniqueness of the viscosity solution for the associated Hamilton–Jacobi–Bellman partial differential equation. Moreover, after performing a dimensionality reduction through a suitable choice of the utility function, we shall provide a numerical example illustrating how American options prices can be computed in the present modelling framework.     

Continuous sampling plans for Markov-dependent production processes under limited inspection capacity

A continuous sampling plan is a set of rules that provide a given Average Outgoing Quality (AOQ), ideally with the minimum of effort (as measured by the Average Fraction Inspected, or AFI). Most such plans are based on the assumption that the quality (either defective or not) of successive production units is uncorrelated. In this paper, we explore the impact of correlation in the production process on the design of a sampling plan when it is not possible to inspect long runs of production unit-by-unit. We shall generalize Dodge's continuous sampling plan on two counts, replacing Level 1 100% inspection by 100f_o% inspection, and considering the production process to be Markov dependent instead of consisting of independent Bernoulli trials. We derive formulae for the AOQ and AFI, and consider how best to choose the sampling plan parameters in the presence of nonzero correlation.     

A new predictor-corrector scheme for valuing American puts

In this paper, we present a new numerical scheme, based on the finite difference method, to solve American put option pricing problems. Upon applying a Landau transform or the so-called front-fixing technique [19] to the Black-Scholes partial differential equation, a predictor-corrector finite difference scheme is proposed to numerically solve the nonlinear differential system. Through the comparison with Zhu’s analytical solution [35], we shall demonstrate that the numerical results obtained from the new scheme converge well to the exact optimal exercise boundary and option values. The results of our numerical examples suggest that this approach can be used as an accurate and efficient method even for pricing other types of financial derivative with American-style exercise.     

The American put is log-concave in the log-price

We show that the American put option price is log-concave as a function of the log-price of the underlying asset. Thus the elasticity of the price decreases with increasing stock value. We also consider related contracts of American type, and we provide an example showing that not all American option prices are log-concave in the stock log-price.     

The convergence of fully discrete Galerkin approximations of the Rosenau equation

In this paper, we shall analyze the fully discrete Galerkin type approximations to solutions of the Rosenau equation. We provide the numerical results of several cases.     

Remark on a lower diameter bound for compact shrinking Ricci solitons

In this paper, inspired by Fernández-López and García-Río [11], we shall give a new lower diameter bound for compact non-trivial shrinking Ricci solitons depending on the range of the potential function, as well as on the range of the scalar curvature. Moreover, by using a universal lower diameter bound for compact non-trivial shrinking Ricci solitons by Chu and Hu [7] and by Futaki, Li, and Li [13], we shall provide a new sufficient condition for four-dimensional compact non-trivial shrinking Ricci solitons to satisfy the Hitchin–Thorpe inequality. Furthermore, we shall give a new lower diameter bound for compact self–shrinkers of the mean curvature flow depending on the norm of the mean curvature. We shall also prove a new gap theorem for compact self–shrinkers by showing a necessary and sufficient condition to have constant norm of the mean curvature.     

The Valuation of American Options with Stochastic Stopping Time Constraints

Abstract

This paper concerns the pricing of American options with stochastic stopping time constraints expressed in terms of the states of a Markov process. Following the ideas of Menaldi et al., we transform the constrained into an unconstrained optimal stopping problem. The transformation replaces the original payoff by the value of a generalized barrier option. We also provide a Monte Carlo method to numerically calculate the option value for multidimensional Markov processes. We adapt the Longstaff–Schwartz algorithm to solve the stochastic Cauchy–Dirichlet problem related to the valuation problem of the barrier option along a set of simulated trajectories of the underlying Markov process.     

Robust exponential stabilization for large-scale uncertain impulsive systems with coupling time-delays

In this paper, we aim to study robust exponential stabilization for a large-scale uncertain impulsive system with coupling time-delays. Furthermore, we also provide an estimation of the rate of convergence of exponential stabilization. By utilizing the Lyapunov method and Razumikhin technique, we shall design the feedback hybrid controllers in terms of linear matrix inequalities under which the robust exponential stability is achieved for a closed-loop large-scale uncertain impulsive system with coupling time-delays. Moreover, we shall also use the results obtained to design impulsive controllers for a large-scale uncertain continuous system under which the closed-loop continuous system achieves robust and exponential stability. To illustrate our results, one example is solved.     

Oscillation and Global Attractivity in a Nonlinear Delay Periodic Model of Population Dynamics

In this article we shall consider the following nonlinear delay differential equation $$x'(t) + p(t)x(t)-\frac {q(t)x(t)}{r + x^{n}(t-m\omega )} = 0\eqno (*)$$ where m and n are positive integers, p ( t ) and q ( t ) are positive periodic functions of period y . In the nondelay case we shall show that (*) has a unique positive periodic solution $ \overline {x}(t), $ and provide sufficient conditions for the global attractivity of $ \overline {x}(t) $ . In the delay case we shall present sufficient conditions for the oscillation of all positive solutions of (*) about $ \overline {x}(t), $ and establish sufficient conditions for the global attractivity of $ \overline {x}(t). $